Was triathlon around in the 1940? According to this video it certainly was around and it was gaining popularity.
According to the video's description "Triathlon was alive and well before 1940! This newsreel, excavated from archives by Endurance Films, harkens back to the multisport of yesteryear, then transitions into some of the best moments from 2012. This video kicked off the 2012 Triathlon America Conference and was introduced by the Voice of Ironman, Mike Reilly."